In Windows, you can use CTRL key or SHIFT key to select multiple files. However, you may end up deselecting them all or even sometimes a wrong click may make copies of all the files if you accidentally let go of the button for a second which can be quite annoying.
In Windows 7 and Windows Vista, they have a nice feature by which you can turn on checkboxes in Windows Explorer, which you can easily select files and folders by checking the box.
You will need to enable this option from the Folder Options settings.
1. Start > Control Panel > Folder Options > View
Tick on the check box " Use check boxes to select items"
2. Click 'Apply' > OK
